The Permanent Income Hypothesis Revisited

摘要: Measured aggregate U.S. consumption does not behave like a martingale. This paper develops and tests two variants of the permanent income model that are consistent with this fact. In both variants, we assume agents make decisions on continuous time basis. According to first variant, martingale hypothesis holds in serial persistence measured reflects only effects aggregation. We investigate variant using structural atheoretical econometric models. The evidence against these models is far from overwhelming. suggests may yet be useful way conceptualize relationship between quarterly income. second model, exogenous technology shocks find little model. It difficult, basis data, convincingly distinguish different considered paper.